Search Results - subject:"Fama and French model"

An empirical investigation of the performance of Japanese mutual funds: Skill or luck?

Pilbeam, Keith; Preston, Hamish - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-16

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen's alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor...

Persistent link: https://www.econbiz.de/10011996157

An empirical investigation of the performance of Japanese mutual funds : skill or luck?

Pilbeam, Keith; Preston, Hamish - In: International Journal of Financial Studies : open … 7 (2019) 1/6, pp. 1-16

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark...

Persistent link: https://www.econbiz.de/10011964107

Macroeconomic Risks and Characteristic-Based Factor Models

Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. - Volkswirtschaftliche Fakultät, … - 2010

We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in economic growth expectations,...

Persistent link: https://www.econbiz.de/10011107928

Critérios de formação de carteiras de ativos através de hierarchical clusters

Lucena, Pierre; Figueiredo, Antonio Carlos; … - Volkswirtschaftliche Fakultät, … - 2008

portfolios were applied in the Fama and French Model (1996), comparing the results in a portfolio formation for quintiles and for …

Persistent link: https://www.econbiz.de/10011111081

Anomalies on the Brazilian Stock Market: a Modification of the Fama and French Model

Lucena, Pierre; Figueiredo, Antonio Carlos - Volkswirtschaftliche Fakultät, … - 2008

Fama and French Model when applied to the Brazilian market. The conclusion of the paper also indicated that the …

Persistent link: https://www.econbiz.de/10011112251

Size and book to market effects: further evidence from the French case

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2004

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...

Persistent link: https://www.econbiz.de/10010708283

Size and book to market effects: further evidence from the French case

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10010707328

Size and book to market effects: further evidence from the French case.

Lajili, Souad - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10008520024

Size and book to market effects: further evidence from the French case.

Lajili, Souad - Université Paris-Dauphine

Persistent link: https://www.econbiz.de/10008532752